If Nonlinear Models Cannot Forecast, What Use Are They?

DOI10.2202/1558-3708.1013MaRDI QIDQ3368190zbMATH OpenOpenAlexFDO

Authors J. B. Ramsey

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.76.8964

Mathematics Subject Classification ID

Trade models (91B60)

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Cites work

• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• Chaos and nonlinear forecastability in economics and finance
• Efficient Inference in a Random Coefficient Regression Model
• Exogeneity
• Flexible Functional Forms and Global Curvature Conditions
• Imposing curvature restrictions on flexible functional forms
• IS CHAOS GENERIC IN ECONOMIC DATA?
• Linear Versus Nonlinear Macroeconomies: A Statistical Test
• Nonlinear prediction of chaotic time series
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• The implications of periodically varying coefficients for seasonal time- series processes
• The statistical properties of dimension calculations using small data sets

Cited in

(7)

• Nonparametric, nonlinear, short-term forecasting: Theory and evidence for nonlinearities in the commodity markets
• On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
• Nonlinearity, nonstationarity, and spurious forecasts
• Short-run price forecast performance of individual and composite models for 496 corn cash markets
• Why preferring parametric forecasting to nonparametric methods?
• ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE
• Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches

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